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Inflation and Asset Prices in an Exchange Economy
Econometrica, 1986This paper studies the pricing of common stocks in the context of a monetary, rational expectations equilibrium. Special attention is given to the relationship between inflation and asset returns.
Danthine, Jean-Pierre, Donaldson, John B
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Journal of Financial Economics, 1977
Abstract We estimate the extent to which various assets were hedges against the expected and unexpected components of the inflation rate during the 1953–1971 period. We find that U.S. government bonds and bills were a complete hedge against expected inflation, and private residential real estate was a complete hedge against both expected and ...
Eugene F. Fama, G.William Schwert
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Abstract We estimate the extent to which various assets were hedges against the expected and unexpected components of the inflation rate during the 1953–1971 period. We find that U.S. government bonds and bills were a complete hedge against expected inflation, and private residential real estate was a complete hedge against both expected and ...
Eugene F. Fama, G.William Schwert
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SSRN Electronic Journal, 2016
This paper examines inflation and the role of inflation-hedging assets in an institutional portfolio. Even in the current environment of low realized inflation, inflation risk remains, in the form of inflation surprises, which have historically been damaging for equity and bond portfolios.
Roberto Jose Obregon +2 more
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This paper examines inflation and the role of inflation-hedging assets in an institutional portfolio. Even in the current environment of low realized inflation, inflation risk remains, in the form of inflation surprises, which have historically been damaging for equity and bond portfolios.
Roberto Jose Obregon +2 more
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European Economic Review, 1999
Abstract Sustained inflation is detrimental to long-run growth and the financial system. A recent theoretical literature suggests that high inflation implies low real returns on assets. These low returns exacerbate informational frictions, interfering with the functioning of financial markets and the allocation of investment.
Barnes, Michelle L. +2 more
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Abstract Sustained inflation is detrimental to long-run growth and the financial system. A recent theoretical literature suggests that high inflation implies low real returns on assets. These low returns exacerbate informational frictions, interfering with the functioning of financial markets and the allocation of investment.
Barnes, Michelle L. +2 more
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Inflation, inflation risks and asset returns [PDF]
, 1994 If low and stable inflation is maintained then the economic environment in the United Kingdom will be very different from any sustained period in the post-war era. This may have significant implications for financial markets: asset prices, the demand and supply for various types of financial contract, and the structure of financial intermediation are ...
Jo Corkish, David Miles
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Inflation and the Price of Real Assets
SSRN Electronic Journal, 2020This paper considers price and quantity movements in the three major asset classes — real estate, equity, and nominal fixed income — in the postwar period. To understand these movements, we compute a sequence of temporary equilibria in a lifecycle model with heterogeneous agents and uninsurable nominal risk.
Matteo Leombroni +3 more
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Money/Asset Ratio as a Predictor of Inflation
SSRN Electronic Journal, 2020This paper modifies a P-star model to forecast inflation using an argument that is in line with the concept of “price gap”. Liquid assets such as government bonds are also included to measure money demand for asset transaction. The out-of-sample forecast results show that, at least since the early 1990s, money supply/government debt ratio has been a ...
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The Impact of Inflation on the Aggregate Debt‐Asset Ratio
The Journal of Finance, 1985ABSTRACTThis paper demonstrates that, contrary to the results of previous studies, the impact of inflation on the aggregate debt‐asset ratio cannot be determined theoretically. However, it is shown that inflation is likely to increase this ratio when personal income tax schedules are indexed to the price level and/or when leverage‐related costs are ...
Hochman, Shalom, Palmon, Oded
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Monetary Policy and Asset Inflation
SSRN Electronic Journal, 2013This paper shows that asset (share price) inflation mostly responds to changes in monetary policy in the same direction as goods inflation. However, in certain important episodes, asset inflation booms while monetary policy is well controlled and goods inflation is low.Recognizing these 'aberrant episodes' has important implications for monetary policy,
PD David Jonson +2 more
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Inflation and Asset Returns in a Monetary Economy
The Journal of Finance, 1992ABSTRACTPostwar U.S. data are characterized by negative correlations between real equity returns and inflation and by positive correlations between real equity returns and money growth. These patterns are closely matched quantitatively by an equilibrium monetary asset pricing model.
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